Agent independent probabilistic robustness certificates for robust optimization programs with uncertain quadratic cost.
George PantazisFiliberto FeleKostas MargellosPublished in: CDC (2020)
Keyphrases
- robust optimization
- robust counterpart
- decision making
- chance constrained
- decision theory
- portfolio optimization
- inventory management
- stochastic programming
- multi agent systems
- mathematical programming
- multi agent
- risk measures
- probabilistic model
- decision theoretic
- bayesian networks
- total cost
- pairwise
- objective function
- computational complexity
- resource allocation
- evolutionary algorithm
- expected utility
- semidefinite programming
- search space
- chance constraints